The Application of Econophysics: Proceedings of the Second Nikkei Econophysics Symposium

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Hideki Takayasu
Springer Science & Business Media, 2004 - Business & Economics - 343 pages
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Econophysics is a newborn field of science bridging economics and physics. A special feature of this new science is the data analysis of high-precision market data. In economics arbitrage opportunity is strictly denied; however, by observing high-precision data we can prove the existence of arbitrage opportunity. Also, financial technology neglects the possibility of market prediction; however, in this book you can find many examples of predicted events. There are other surprising findings.

This volume is the proceedings of a workshop on "application of econophysics" at which leading international researchers discussed their most recent results.

  

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Contents

The Puzzle of Large Fluctuations
3
Triangular Arbitrage in the Foreign Exchange Market
18
Timescale dependence of correlations among foreign currencies
24
Univariate and multivariate statistical aspects of equity volatility
30
Time dependent correlations and response in stock market data and models
43
Distributions and LongRange Correlations in the Trading of US Stocks
51
Time Evolution of Fractal Structure by Priceaxis Scaling and Foreign Exchange Intervention Operations
58
Preliminary Study on the Fluctuations of Daily Returns in Stock Market Based on Phase Transition Theory
64
Do two poles attract each other?
198
Emergence of powerlaw behaviors in online auctions
204
the Dual Face of Multifractality
210
If the World were a Village of 100 Traders
217
Market Simulation Displaying Multifractality
223
Currency Markets
229
Multivariable Modeling on Complex Behavior of a Foreign Exchange Market
235
Gibbs measure and Markov chain modeling for stock markets
241

Physical Properties of the Korean Stock Market
70
Correlation coefficients between stocks and those distributions of returns in the Tokyo Stock Exchange
78
Epochs in Market Sector Index Data Empirical or Optimistic?
83
Endogenous Versus Exogenous
91
Patterns of speculation in real estate and stocks
103
Generalized Technical Analysis Effects of transaction volume and risk
117
Enhancement of the prediction of actual market prices by modifying the regularity structure of a signal
125
New complex approach to market price predictions
131
Inferring of Trade Direction by Imbalance from IntraDay Data
137
Chaotic Structure in Intraday Data of JGB Futures Price
140
Trend identification and financial trading strategy by using stochastic trend model with Markov switching slope change and ARCH
146
empirical analysis in Japanese stock market
150
Selfmodulation processes in financial markets
155
Deterministic and stochastic influences on Japan and US stock and foreign exchange markets A FokkerPlanck approach
161
FirstPassage Problem in Foreign Exchange Rate
169
evidence from the Nord Pool electricity market
182
Statistical Properties of Commodity Price Fluctuations
192
Entropy in the Economy
249
Investment strategy based on a company growth model
256
Growth and Fluctuations of Personal Income I
262
Growth and Fluctuations of Personal and Companys Income II
268
A model of high income distribution
274
Effects of Saving Propensity
280
Enterprise money system an ultimate risk hedge
287
Visualization of business networks
293
Bankruptcy Prediction Using Decision Tree
299
Premium Forecasting of an Insurance Company
303
A View from an Economist on Econophysics
310
A New Model of Labor Market Dynamics
316
Formulating Social Interactions in Utility Theory of Economics
322
Some Insights from an Evolutionary Game
330
A Complex Adaptive Model of Economic Production Networks
338
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